There exists only two risky assets with returns r1 and r2 and a risk free rate rf. You are splitting your wealth only between the two risky assets....
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There exists only two risky assets with returns r1 and r2 and a risk free rate rf. You are splitting your wealth

only between the two risky assets. compute the portfolio with the highest sharpe ratio.

(Note: you cannot use any specific number to show something)

question: how to use the expected excess returns to write a maximum lagrangian problem? Or, do I need to calculate the minimum portfolio variance first and then solve the optimal choice to get the final portfolio?

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